The importance of interest rates for forecasting the exchange rate
| Autor: | Hilde C. Bjørnland, Håvard Hungnes |
|---|---|
| Rok vydání: | 2006 |
| Předmět: |
jel:C53
Strategy and Management media_common.quotation_subject jel:F31 Differential (mechanical device) Sample (statistics) jel:C32 Equilibrium real exchange rate cointegration VAR out-of-sample forecasting jel:C22 Management Science and Operations Research Random walk Computer Science Applications Interest rate Purchasing power parity Exchange rate Modeling and Simulation Econometrics Economics Statistics Probability and Uncertainty Representation (mathematics) media_common |
| Zdroj: | Journal of Forecasting. 25:209-221 |
| ISSN: | 1099-131X 0277-6693 |
| Popis: | This study compares the forecasting performance of a structural exchange rate model that combines the purchasing power parity condition with the interest rate differential in the long run, with some alternative exchange rate models. The analysis is applied to the Norwegian exchange rate. The long-run equilibrium relationship is embedded in a parsimonious representation for the exchange rate. The structural exchange rate representation is stable over the sample and outperforms a random walk in an out-of-sample forecasting exercise at one to four horizons. Ignoring the interest rate differential in the long run, however, the structural model no longer outperforms a random walk. Copyright © 2006 John Wiley & Sons, Ltd. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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